Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0061 |
| Annualized Std Dev | 0.0445 |
| Annualized Sharpe (Rf=0%) | 0.1374 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3571.0000 |
| NAs | 1.0000 |
| Minimum | -0.0593 |
| Quartile 1 | -0.0005 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0006 |
| Maximum | 0.0651 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0028 |
| Skewness | -0.6845 |
| Kurtosis | 189.0896 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0021 |
| Gain Deviation | 0.0024 |
| Loss Deviation | 0.0029 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0021 |
| Downside Deviation (0%) | 0.0021 |
| Maximum Drawdown | 0.1338 |
| Historical VaR (95%) | -0.0022 |
| Historical ES (95%) | -0.0056 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.1629 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-06 | 2020-03-19 | 2020-06-10 | -0.1338 | 67 | 10 | 57 |
| 2008-03-03 | 2008-10-10 | 2009-07-22 | -0.1246 | 351 | 156 | 195 |
| 2016-07-01 | 2018-12-04 | 2019-05-31 | -0.0320 | 733 | 612 | 121 |
| 2010-11-01 | 2011-12-02 | 2012-07-31 | -0.0172 | 441 | 276 | 165 |
| 2010-03-17 | 2010-06-04 | 2010-07-23 | -0.0150 | 90 | 56 | 34 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -0.2 | -0.7 | 0 | -0.4 | -0.5 | 0.2 | -0.4 | 0 | -0.5 | -0.1 | -0.2 | 0.1 | -2.9 |
| 2008 | -0.2 | 0.3 | -0.7 | -0.2 | -0.1 | -0.3 | -0.4 | -0.1 | 1.5 | -0.3 | 0.9 | -0.1 | 0.3 |
| 2009 | 0.1 | -0.5 | -0.6 | -0.4 | -0.2 | -0.5 | 0.5 | -0.2 | -0.5 | 0.1 | -0.2 | 0 | -2.3 |
| 2010 | -0.3 | -0.1 | -0.2 | 0 | -0.3 | 0.1 | 0.2 | -0.2 | -0.1 | -0.1 | -0.3 | 0.2 | -1.1 |
| 2011 | -0.3 | -0.2 | -0.3 | 0 | 0 | -0.3 | 0.1 | -0.1 | -0.1 | -0.2 | -0.2 | 0 | -1.7 |
| 2012 | -0.2 | -0.1 | -0.1 | 0 | -0.3 | 0 | -0.1 | 0.1 | -0.4 | -0.2 | 0.1 | 0.1 | -1.2 |
| 2013 | 0 | -0.1 | -0.2 | -0.1 | -0.1 | -0.1 | -0.2 | 0 | -0.1 | -0.1 | 0 | 0.1 | -1 |
| 2014 | 0 | 0 | -0.1 | -0.1 | 0 | -0.1 | 0.1 | 0.1 | 0 | 0 | -0.1 | 0.1 | -0.1 |
| 2015 | 0 | 0 | -0.1 | 0 | -0.2 | -0.2 | 0.1 | 0 | -0.1 | 0.1 | -0.1 | 0.1 | -0.3 |
| 2016 | -0.2 | -0.1 | -0.2 | -0.1 | -0.1 | -0.1 | -0.2 | -0.1 | -0.1 | -0.1 | -0.2 | 0.1 | -1.2 |
| 2017 | -0.2 | -0.2 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.1 | 0 | -0.2 | -0.1 | 0 | -1.3 |
| 2018 | -0.2 | -0.1 | 0 | -0.2 | -0.2 | 0 | -0.2 | 0.1 | -0.2 | -0.1 | -0.1 | 0 | -1.3 |
| 2019 | -0.3 | -0.4 | -0.5 | -0.4 | 0.2 | -0.3 | 0.1 | 0 | -0.1 | -0.3 | 0 | -0.1 | -1.9 |
| 2020 | 0.2 | 0.4 | -0.8 | -0.3 | -0.2 | 0 | 0.1 | -0.1 | -0.1 | 0 | -0.3 | 0 | -1.1 |
| 2021 | -0.1 | -0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
